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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Natural Gas(NYM) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   27 27 27 27 27 27 27 28 28 28 28
Closed Higher   9 7 14 11 17 18 18 14 12 10 12
Exceeded High   6 6 10 11 13 18 17 9 8 9 9
Scenario Percentage   67% 86% 71% 100% 76% 100% 94% 64% 67% 90% 75%
Avg Max Increase   8.04% 11.49% 14.16% 14.85% 17.18% 13.87% 12.66% 14.91% 17.28% 27.61% 15.99%
Max Increase   15.70% 26.17% 40.28% 29.61% 45.23% 50.99% 44.79% 25.61% 73.17% 68.95% 32.10%
Avg Days To Max Increase   14 15 20 24 16 16 15 18 17 15 20
Avg Max Decline   -2.77% -1.54% -2.26% -2.94% -2.17% -3.43% -4.70% -4.95% -5.99% -5.58% -3.72%
Max Decline   -9.46% -2.44% -5.67% -5.39% -6.85% -7.82% -11.85% -12.50% -17.71% -12.12% -7.53%
Avg Days to Max Decline   5 10 10 9 6 9 10 9 9 5 6
2017 Contract Condition   Yes Yes Yes     Yes Yes       Yes
Action   Yes Yes No     Yes Yes       Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   27 27 27 27 27 27 27 28 28 28 28
Closed Lower   16 18 13 16 10 9 9 14 16 18 16
Penetrated Low   12 15 12 12 6 9 7 13 14 16 12
Scenario Percentage   75% 83% 92% 75% 60% 100% 78% 93% 88% 89% 75%
Avg Max Decline   11.80% 11.85% 9.92% 12.08% 12.28% 9.15% 14.64% 15.00% 16.05% 15.37% 12.42%
Max Decline   21.74% 28.99% 28.37% 24.63% 21.22% 25.09% 34.29% 26.66% 30.69% 38.37% 28.90%
Avg Days To Max Decline   17 12 16 19 18 21 24 22 23 13 15
Avg Max Increase   -1.81% -1.97% -2.65% -4.40% -2.13% -4.92% -5.14% -6.48% -6.46% -6.30% -4.87%
Max Increase   -6.07% -6.24% -9.20% -10.64% -4.47% -11.44% -10.74% -14.11% -31.42% -14.39% -14.29%
Avg Days to Max Increase   7 6 7 9 5 12 10 12 21 7 6
2017 Contract Condition         Yes Yes     Yes Yes Yes  
Action         Yes No     Yes Yes Yes  
High 3.144 3.342 3.309 3.619 3.566 3.423 3.396 3.503 3.520 3.165 3.131 3.045
Low 2.988 3.009 2.832 3.244 3.195 2.914 3.033 3.251 3.112 2.910 2.826 2.799
Close/Last 3.028 3.128 3.264 3.570 3.298 3.058 3.328 3.379 3.120 3.058 2.834 3.040

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